There must be a connection between dividend payment and the beta. Have you noticed if there is a connection between dividend payment and the beta? If yes, in what direction is the relationship? Very interesting question. Are you sure?
Beta measures volatility of stock prices (derived from the value of equity) relative to the market. Theoretically, every time a company pays out dividends to shareholders, the company’s value should decline, causing a decline in the value of equity and therefore share price. This variation in share price should drive the beta higher when compared to non-dividend-paying companies.
However, empirical research has shown that the betas of dividend-paying companies are lower than those of non-dividend paying companies (.98 vs. 1.48 in a 2000-2010 period). This could also be because dividends stabilize share prices rather than increase volatility.